A new multivariate distribution possessing arbitrarily parametrized univariate Pareto margins is introduced. Unlike the probability law of Asimit et al. (2010) [Asimit, V., Furman, E. and Vernic, R. (2010). “On a multivariate Pareto distribution,” Insurance: Mathematics and Economics 46(2),...

Layer-based counterparts of a number of well-known risk measures have been proposed and studied. Namely, some motivations and elementary properties have been discussed, and the analytic tractability has been demonstrated by developing closed-form expressions in the general framework of...

Risk capital allocations (RCAs) are an important tool in quantitative risk management, where they are utilized to, e.g., gauge the profitability of distinct business units, determine the price of a new product, and conduct the marginal economic capital analysis. Nevertheless, the notion of RCA...

We introduce and explore Gini-type measures of risk and variability, and develop the corresponding economic capital allocation rules. The new measures are coherent, additive for co-monotonic risks, convenient computationally, and require only finiteness of the mean. To elucidate our theoretical...

This paper deals with the estimation of loss severity distribution arising from the historical data on univariate and multivariate losses. We present an innovative theoretical framework where the closed-form expression for the tail conditional expectation (TCE) is derived for the skewed general...